Click Set as primary then Save. Repeat this process for any users associated with the domain you're trying to remove.

You'll need to do this for yourself too if you're on the domain you're trying to remove. When you edit the domain for your user, you'll have to log out and log back in using the new domain you chose to continue.

For example, if you are logged in as: dave@contoso.com

Go to Users > Active Users, select yourself from the list and click Edit next to your own name.

Select different domain: dave@contoso.onmicrosoft.com

Click Set as primary

Click Sign Out

Sign in with new domain and your same password: dave@contoso.onmicrosoft.com